(1) Polymyalgia rheumatica (PMR) is an inflammatory disease characterised by pain, morning stiffness, and reduced quality of life. Recently, vagus nerve stimulation (VNS) was shown to have anti-inflammatory effects. We aimed to examine the effect of transcutaneous VNS (t-VNS) on PMR. (2) Fifteen treatment-naïve PMR patients completed the study. Patients underwent a 5-day protocol, receiving 2 min of t-VNS stimulation bilaterally on the neck, three times daily. Cardiac vagal tone (CVT) measured on a linear vagal scale (LVS), blood pressure, heart rate, patient-reported outcome, and biochemical changes were assessed. (3) t-VNS induced a 22% increase in CVT at 20 min after initial stimulations compared with baseline (3.4 ± 2.2 LVS vs. 4.1 ± 2.9 LVS, p = 0.02) and was accompanied by a 4 BPM reduction in heart rate (73 ± 11 BPM vs. 69 ± 9, p < 0.01). No long-term effects were observed. Furthermore, t-VNS induced a 14% reduction in the VAS score for the hips at day 5 compared with the baseline (5.1 ± 2.8 vs. 4.4 ± 2.8, p = 0.04). No changes in CRP or proinflammatory analytes were observed. (4) t-VNS modulates the autonomic nervous system in patients with PMR, but further investigation of t-VNS in PMR patients is warranted.